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研究報告:申銀萬國期貨-品種策略日報:上證50ETF期權-190823

股票名稱: 股票代碼: 分享時間:2019-08-23 13:39:16
研報欄目: 期權研究 研報類型: (PDF) 研報作者: 吳廣奇
研報出處: 申銀萬國期貨 研報頁數: 8 頁 推薦評級:
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申銀萬國期貨-品種策略日報:上證50ETF期權-190823

收盤價漲跌幅成交量(億)成交額(億元)30日曆史波動率60日曆史波動率90日曆史波動率上證502878.000.31% 20.49312.10華夏上證50ETF2.92300.14% 2.818.2014.47% 16.37% 20.37%合約月份201909剩余存續期(交易日)24起始交易日期2019-02-26最後交易日期2019-09-25標的代碼510050.SH標的收盤價2.923持倉量成交量漲跌幅(%)結算價結算價漲跌幅(%)成交量持倉量11,7195,3510.34% 0.17932.750.0126 -11.89% 26,55372,30625,23611,1300.15% 0.13802.800.0209 -11.06% 36,00395,76644,78432,600 -0.49% 0.10142.850.0351 -6.65% 64,29668,14874,44963,5591.39% 0.07302.900.0545 -5.22% 63,46067,65394,45377,033 -1.61% 0.04892.950.0811 -3.91% 41,59234,322122,84054,106 -2.42% 0.03233.000.1155 -2.04% 12,87625,121115,35933,8761.49% 0.01363.100.20242.22% 3,54316,025期權杠杆率隱含波動率隱含波動率期權杠杆率14.750.00% 2.7519.62% -22.0317.5313.57% 2.8019.16% -24.0820.7914.80% 2.8519.29% -23.2123.7316.01% 2.9019.35% -21.8527.2216.32% 2.9519.82% -19.6329.4416.91% 3.0021.00% -17.0728.3518.23% 3.1025.82% -12.54Theta Vega Gamma Delta Delta Gamma Vega Theta-0.19530.00151.17170.90502.75 -0.09501.17170.0015 -0.1233-0.25720.00231.76910.82782.80 -0.17221.76910.0023 -0.1839-0.31250.00302.32880.72132.85 -0.27872.32880.0030 -0.2379-0.34400.00352.69150.59262.90 -0.40742.69150.0035 -0.2681-0.34050.00352.74910.45532.95 -0.54472.74910.0035 -0.2633-0.30290.00322.49680.32533.00 -0.67472.49680.0032 -0.2244-0.17530.00191.48170.13193.10 -0.86811.48170.0019 -0.0941二、當月合約基本信息申萬期權品種策略日報——上證50ETF期權2019/8/23星期五 申銀萬國期貨研究所吳廣奇(從業資格號:F3048078;投資咨詢號:Z0014024) wugq@sywgqh.com.cn 021-58308720一、標的行情當月認購期權行權價格當月認沽期權三、50ETF期權行情當月認購期權行權價格當月認沽期權當月成交量認沽認購比率0.9394當月持倉量認沽認購比率1.0838四、隱含波動率和期權杠杆率當月認購期權行權價格當月認沽期權五、希臘字母收盤價漲跌幅成交量(萬手)成交額(億元)30日曆史波動率60日曆史波動率90日曆史波動率SR0015521.001.49% 103.83568.4615.97% 15.29% 19.21%合約月份202001剩余存續期(交易日)69起始交易日期2019-01-22最後交易日期2019-12-04標的代碼SR001標的收盤價5521.00持倉量成交量漲跌幅(%)結算價結算價漲跌幅(%)成交量持倉量10,12814019.37% 274.505,300.00101.00 -21.37% 1,2009,52611,16253419.60% 216.505,400.00142.00 -19.44% 1,4302,80215,5702,29021.97% 167.505,500.00192.00 -19.10% 1,0581,98610,4382,77022.94% 128.005,600.00251.50 -14.23% 2341,57810,7663,17425.43% 96.505,700.00319.50 -13.50% 147088,8341,21424.81% 72.005,800.00394.50 -11.86% 2329844,22051624.21% 53.505,900.00475.00 -5.66% 0354期權杠杆率隱含波動率隱含波動率期權杠杆率12.6115.11% 5,300.0015.78% -17.8914.2914.78% 5,400.0015.76% -16.2615.7915.02% 5,500.0015.57% -14.8917.4015.18% 5,600.0016.41% -12.8518.6715.52% 5,700.0016.53% -11.6320.1015.68% 5,800.0016.96% -10.4321.3415.85% 5,900.0019.97% #DIV/0!Theta Vega Gamma Delta Delta Gamma Vega Theta-0.761410.33390.00070.69675,300.00 -0.29820.000710.3414 -0.7726-0.838711.08670.00080.61625,400.00 -0.37840.000811.0868 -0.8448-0.877911.64580.00080.53185,500.00 -0.46260.000811.6457 -0.8790-0.877311.51910.00080.44755,600.00 -0.54690.000811.5190 -0.8733-0.837311.08920.00080.36705,700.00 -0.62770.000811.0872 -0.8282-0.76699.92140.00070.29305,800.00 -0.70210.00079.9160 -0.7528-0.67468.93170.00060.22805,900.00 -0.76780.00078.9103 -0.6556申萬期權品種策略日報——白糖期貨期權一、標的行情二、主力月合約基本信息三、白糖期貨期權行情主力月看漲期權行權價格主力月看跌期權五、希臘字母主力月看漲期權行權價格主力月看跌期權主力月成交量認沽認購比率0.7556主力月持倉量認沽認購比率0.7280四、隱含波動率和期權杠杆率主力月看漲期權行權價格主力月看跌期權收盤價漲跌幅成交量(萬手)成交額(億元)30日曆史波動率60日曆史波動率90日曆史波動率CF00112850.000.86% 36.73234.9018.02% 21.02% 22.84%合約月份202001剩余存續期(交易日)69起始交易日期2019-05-24最後交易日期2019-12-04標的代碼CF001標的收盤價12850.00持倉量成交量漲跌幅(%)結算價結算價漲跌幅(%)成交量持倉量5404.07% 1,024.0012,000.00241.00 -8.40% 5004,204264348.06% 894.0012,200.00309.00 -8.13% 9643,782390228.22% 777.0012,400.00390.00 -7.41% 4624,4703681247.81% 670.0012,600.00482.00 -9.56% 4643,0202,7961,3867.85% 573.0012,800.00583.00 -9.05% 3021,9322,6705427.92% 491.0013,000.00699.00 -7.03% 1083,2349262029.77% 418.0013,200.00824.00 -7.25% 130894378926.80% 352.0013,400.00956.00 -6.55% 68340期權杠杆率隱含波動率隱含波動率期權杠杆率#DIV/0! 18.58% 12,000.0021.04% 0.009.4420.40% 12,200.0021.06% -13.7610.1220.57% 12,400.0021.34% -12.4110.8720.70% 12,600.0021.17% -11.6311.6220.85% 12,800.0021.28% -10.6912.3721.00% 13,000.0021.76% -9.7112.8321.63% 13,200.0021.89% -9.0313.9121.43% 13,400.0022.14% -8.37Theta Vega Gamma Delta Delta Gamma Vega Theta-2.494922.76780.00020.725212,000.000.00000.000222.7840 -2.5379-2.691723.91360.00020.679912,200.00 -0.31490.000223.9173 -2.7247-2.846525.60050.00020.632412,400.00 -0.36220.000225.6015 -2.8693-2.960126.68120.00020.583712,600.00 -0.41080.000226.6826 -2.9728-3.023127.07530.00020.534412,800.00 -0.46000.000227.0752 -3.0257-3.041327.10520.00020.485313,000.00 -0.50910.000227.1054 -3.0336-3.010626.94850.00020.437313,200.00 -0.55730.000226.9480 -2.9928-2.939925.91600.00020.390713,400.00 -0.60400.000225.9144 -2.9120申萬期權品種策略日報——棉花期貨期權一、標的行情二、主力月合約基本信息三、棉花期貨期權行情主力月看漲期權行權價格主力月看跌期權五、希臘字母主力月看漲期權行權價格主力月看跌期權主力月成交量認沽認購比率0.8656主力月持倉量認沽認購比率0.9678四、隱含波動率和期權杠杆率主力月看漲期權行權價格主力月看跌期權收盤價漲跌幅成交量(萬手)成交額(億元)30日曆史波動率60日曆史波動率90日曆史波動率RU190511435.000.0022.09251.840.00% 0.00% 0.00%合約月份202001剩余存續期(交易日)84起始交易日期2019-01-28最後交易日期2019-12-25標的代碼RU2001標的收盤價11435持倉量成交量漲跌幅(%)結算價結算價漲跌幅(%)成交量持倉量2326 -13.63% 774.0011,250.00625.00 -20.55% 106450684226 -15.87% 656.0011,500.00755.00 -16.64% 198768324112 -12.59% 551.0011,750.00900.00 -12.64% 61081,36284 -15.64% 460.0012,000.001,057.00 -11.15% 214633012 -16.05% 381.0012,250.001,227.00 -4.03% 813462652 -13.77% 313.0012,500.001,408.00 -4.87% 416224612 -6.18% 255.0012,750.001,600.00 -0.82% 141541,900378 -6.67% 206.0013,000.001,800.000.00% 12905181702.73% 166.0013,250.002,010.000.95% 0425802524.08% 133.0013,500.002,226.000.95% 0585761625.08% 106.0013,750.002,448.000.95% 064期權杠杆率隱含波動率隱含波動率期權杠杆率9.3222.82% 11,250.0022.12% -9.8210.2222.94% 11,500.0022.32% -8.7110.5124.31% 11,750.0022.84% -7.7211.6424.02% 12,000.0022.51% -7.0712.4624.33% 12,250.0025.08% -6.1012.9625.05% 12,500.0024.15% -5.7512.6526.17% 12,750.0026.49% -5.1613.5026.28% 13,000.0027.26% -4.7912.9927.27% 13,250.0028.21% -4.4513.6627.38% 13,500.0028.59% -4.1814.3527.41% 13,750.0028.79% -3.93Theta Vega Gamma Delta Delta Gamma Vega Theta-2.962026.00400.00020.568111,250.00 -0.42530.000226.0037 -2.9713-3.012726.46640.00020.516811,500.00 -0.47660.000226.4666 -3.0095-3.015326.57260.00020.466211,750.00 -0.52720.000226.5702 -2.9996-2.965625.97250.00020.417312,000.00 -0.57630.000225.9710 -2.9373-2.877625.54700.00020.370412,250.00 -0.62340.000225.5245 -2.8369-2.749423.98140.00020.326512,500.00 -0.66760.000223.9664 -2.6964-2.595223.11140.00020.285412,750.00 -0.70910.000223.0647 -2.5300-2.418320.83760.00020.247813,000.00 -0.74720.000220.7914 -2.3410-2.227819.67580.00020.213613,250.00 -0.78190.000219.5815 -2.1386-2.030217.04150.00010.182813,500.00 -0.81340.000116.9425 -1.9292-1.831115.76420.00010.155613,750.00 -0.84120.000115.6030 -1.7185申萬期權品種策略日報——天然橡膠期貨期權一、標的行情二、主力月合約基本信息三、天然橡膠期貨期權行情主力月看漲期權行權價格主力月看跌期權五、希臘字母主力月看漲期權行權價格主力月看跌期權主力月成交量看跌看漲比率0.3484主力月持倉量看跌看漲比率0.4554四、隱含波動率和期權杠杆率主力月看漲期權行權價格主力月看跌期權收盤價漲跌幅成交量(萬手)成交額(億元)30日曆史波動率60日曆史波動率90日曆史波動率CU191046310 -0.17% 10.35239.990.00% 0.00% 0.00%合約月份201910剩余存續期(交易日)23起始交易日期2018-10-16最後交易日期2019-09-24標的代碼CU1910標的收盤價46310.00持倉量成交量漲跌幅(%)結算價結算價漲跌幅(%)成交量持倉量32292 -3.95% 2,48844,000122 -36.89% 8943,264312108 -11.31% 1,67845,000310 -41.42% 1,6102,416576294 -22.94% 1,02646,000656 -29.25% 9202,6422,010678 -34.97% 55947,0001,189 -12.10% 7821,1641,468834 -41.73% 26948,0001,897 -3.29% 903802,5041,568 -37.29% 11449,0002,7400.51% 1643649,1341,7466.82% 4250,0003,6671.26% 861,0583,2681,808107.14% 1351,0004,6370.78% 62290期權杠杆率隱含波動率隱含波動率期權杠杆率18.1814.12% 44,00012.95% -30.8925.2212.00% 45,00011.56% -45.5433.9511.55% 46,00010.97% -40.9940.4911.85% 47,00011.43% -29.9737.7512.56% 48,00011.88% -21.9824.1613.61% 49,00012.70% -16.217.9815.54% 50,00012.52% -12.401.9617.09% 51,0000.00% -9.92Theta Vega Gamma Delta Delta Gamma Vega Theta-2.173814.66540.00010.946344,000 -0.05140.000114.6654 -2.3394-5.684036.24990.00020.819645,000 -0.17800.000236.2499 -5.7779-8.568654.00030.00030.588746,000 -0.40890.000354.0003 -8.5908-7.971850.06330.00020.325347,000 -0.67240.000250.0633 -7.9223-4.744229.75510.00010.132048,000 -0.86560.000129.7551 -4.6231-1.859111.65310.00010.038649,000 -0.95900.000111.6531 -1.6662-0.49223.08460.00000.008150,000 -0.98950.00003.0846 -0.2277-0.09020.56500.00000.001251,000 -0.99640.00000.56500.2461-0.01170.07320.00000.000152,000 -0.99750.00000.07320.3963申萬期權品種策略日報——銅期貨期權一、標的行情二、主力月合約基本信息三、銅期貨期權行情主力月看漲期權行權價格主力月看跌期權主力月看漲期權行權價格主力月看跌期權當月成交量認沽認購比率0.5821當月持倉量認沽認購比率0.6151主力月看漲期權行權價格主力月看跌期權五、希臘字母四、隱含波動率和期權杠杆率收盤價漲跌幅成交量(萬手)成交額(億元)30日曆史波動率60日曆史波動率90日曆史波動率M19052934.001.52% 141.98413.9114.87% 15.07% 15.55%合約月份202001剩余存續期(交易日)71起始交易日期2019-05-29最後交易日期2019-12-06標的代碼M2001標的收盤價2934持倉量成交量漲跌幅(%)結算價結算價漲跌幅(%)成交量持倉量62408.38% 284.502,650.0020.50 -50.00% 4,15826,4609567613.00% 244.502,700.0030.00 -45.59% 6,21031,9142,99219813.10% 207.002,750.0042.50 -40.00% 1,4888,9662,51469214.56% 173.002,800.0058.50 -33.08% 1,98612,2347,2981,15017.53% 142.502,850.0077.50 -27.91% 1,9967,28011,2184,79621.89% 115.502,900.00100.50 -21.72% 3,2849,2128,5302,83825.32% 92.502,950.00127.00 -17.99% 6522,71811,6724,34435.25% 72.503,000.00157.50 -14.62% 4403,43419,0482,70043.01% 56.003,050.00190.50 -11.89% 4961,94816,0828,88857.14% 43.003,100.00227.00 -10.04% 581,07018,8144,24874.51% 32.003,150.00266.50 -9.30% 16872816,5644,37894.59% 23.503,200.00308.00 -7.63% 221,63034,46031,662123.08% 17.003,250.00351.00 -7.12% 1741,352期權杠杆率隱含波動率隱含波動率期權杠杆率9.04709.54% 2,650.0015.16% -30.57409.662815.42% 2,700.0015.22% -26.361310.734115.28% 2,750.0015.29% -22.818011.765115.67% 2,800.0015.62% -19.231612.726416.20% 2,850.0015.87% -16.787413.556216.78% 2,900.0016.42% -14.529114.556316.97% 2,950.0016.82% -12.949614.857817.72% 3,000.0017.37% -11.588615.370918.06% 3,050.0018.00% -10.448115.187118.59% 3,100.0018.49% -9.496415.030518.94% 3,150.0018.77% -8.714014.580019.36% 3,200.0019.79% -7.929513.923219.69% 3,250.0020.17% -7.3006Theta Vega Gamma Delta Delta Gamma Vega Theta-0.23463.20270.00080.87732,650.00 -0.11980.00083.2399 -0.2486-0.29823.85000.00100.82992,700.00 -0.16620.00093.8648 -0.3099-0.35974.75410.00110.77382,750.00 -0.22160.00114.7642 -0.3689-0.41375.31200.00130.70982,800.00 -0.28510.00135.3141 -0.4205-0.45585.92370.00140.63982,850.00 -0.35470.00145.9254 -0.4600-0.48176.18060.00150.56602,900.00 -0.42830.00156.1806 -0.4834-0.49046.27550.00150.49122,950.00 -0.50320.00156.2755 -0.4896-0.48196.08100.00150.41783,000.00 -0.57670.00156.0805 -0.4786-0.45735.77320.00140.34843,050.00 -0.64630.00145.7721 -0.4514-0.42045.33620.00130.28473,100.00 -0.71040.00135.3315 -0.4120-0.37494.80180.00110.22803,150.00 -0.76770.00124.7896 -0.3640-0.32474.20670.00100.17893,200.00 -0.81750.00104.1816 -0.3115-0.27363.58800.00080.13763,250.00 -0.85970.00083.5447 -0.2580申萬期權品種策略日報——豆粕期貨期權一、標的行情二、主力月合約基本信息三、豆粕期貨期權行情主力月看漲期權行權價格主力月看跌期權五、希臘字母主力月看漲期權行權價格主力月看跌期權主力月成交量看跌看漲比率0.5339主力月持倉量看跌看漲比率0.9308四、隱含波動率和期權杠杆率主力月看漲期權行權價格主力月看跌期權收盤價漲跌幅成交量(萬手)成交額(億元)30日曆史波動率60日曆史波動率90日曆史波動率C20011908.00 -0.17% 10.35239.998.62% 7.99% 9.18%合約月份202001剩余存續期(交易日)71起始交易日期2019-01-28最後交易日期2019-12-06標的代碼C2001標的收盤價1908持倉量成交量漲跌幅(%)結算價結算價漲跌幅(%)成交量持倉量6521086.71% 149.501,760.003.000.00% 2921,762720406.88% 131.501,780.004.50 -30.00% 761,272984127.04% 114.001,800.007.50 -31.25% 4845,9861,4041023.87% 97.501,820.0011.00 -39.13% 4624,5421,284462.65% 82.001,840.0015.50 -39.39% 3206,4621,1881220.81% 68.501,860.0021.50 -34.78% 6587,3881,7523080.00% 55.501,880.0029.00 -29.03% 6044,6543,9906281.27% 44.501,900.0037.50 -24.69% 5886,8723,6301,1720.00% 35.001,920.0048.00 -18.45% 1684,8545,0907902.17% 27.001,940.0060.00 -15.63% 843,3064,3962748.82% 20.501,960.0073.50 -10.26% 3903,41024,1441,35212.00% 15.001,980.0088.00 -7.53% 824,03010,49667827.78% 11.002,000.00103.50 -7.31% 882,930期權杠杆率隱含波動率隱含波動率期權杠杆率11.913510.57% 1,760.0010.09% -36.208313.18109.97% 1,780.009.34% -47.101514.59139.73% 1,800.009.27% -43.460116.68238.40% 1,820.008.67% -47.494118.75908.33% 1,840.008.39% -44.533721.17588.28% 1,860.008.35% -38.310423.59988.46% 1,880.008.42% -32.612825.73368.80% 1,900.008.42% -28.453528.75858.82% 1,920.008.72% -24.287131.03479.05% 1,940.008.72% -21.634431.97499.43% 1,960.009.37% -18.667633.39359.62% 1,980.009.73% -16.648831.284710.16% 2,000.009.61% -15.1815Theta Vega Gamma Delta Delta Gamma Vega Theta-0.04621.17990.00120.94281,760.00 -0.05690.00111.2491 -0.0534-0.06721.55370.00160.91191,780.00 -0.08640.00161.5870 -0.0735-0.09072.13190.00210.87181,800.00 -0.12530.00212.1548 -0.0961-0.11532.55220.00260.82191,820.00 -0.17420.00262.5609 -0.1197-0.13883.14010.00310.76201,840.00 -0.23340.00313.1450 -0.1423-0.15923.63360.00350.69371,860.00 -0.30120.00353.6374 -0.1617-0.17413.88370.00380.61841,880.00 -0.37600.00383.8839 -0.1756-0.18254.06390.00400.53951,900.00 -0.45480.00404.0641 -0.1829-0.18314.05830.00400.45971,920.00 -0.53460.00404.0583 -0.1825-0.17663.94510.00380.38221,940.00 -0.61230.00383.9441 -0.1750-0.16363.58790.00350.31001,960.00 -0.68490.00363.5865 -0.1610-0.14613.26220.00320.24501,980.00 -0.75040.00323.2560 -0.1425-0.12582.68460.00270.18862,000.00 -0.80760.00282.6757 -0.1212申萬期權品種策略日報——玉米期貨期權一、標的行情二、主力月合約基本信息三、玉米期貨期權行情主力月看漲期權行權價格主力月看跌期權五、希臘字母主力月看漲期權行權價格主力月看跌期權主力月成交量看跌看0.5945主力月持倉量看跌看漲0.5107四、隱含波動率和期權杠杆率主力月看漲期權行權價格主力月看跌期權免責聲明本報告的信息均來源于公開資料,本公司對這些信息的准確性和完整性不作任何保證,也不保證所包含的信息和建議不會發生任何變更。

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